Multifractal structure in Latin-American market indices
We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging market...
Guardado en:
| Autor principal: | |
|---|---|
| Publicado: |
2009
|
| Materias: | |
| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_09600779_v41_n5_p2331_Zunino http://hdl.handle.net/20.500.12110/paper_09600779_v41_n5_p2331_Zunino |
| Aporte de: |
| Sumario: | We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter. © 2008 Elsevier Ltd. All rights reserved. |
|---|